Optimal and Myopic Information Acquisition

Annie Liang, Xiaosheng Mu and Vasilis Syrgkanis
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Annie Liang: University of Pennsylvania
Xiaosheng Mu: Columbia University
Vasilis Syrgkanis: Microsoft Research

Working Papers from Princeton University. Economics Department.

Abstract: A decision-maker (DM) faces an intertemporal decision problem, where his payoff depends on actions taken across time as well as on an unknown Gaussian state. The DM can learn about the state from different (correlated) information sources, and allocates a budget of samples across these sources each period. A simple information acquisition strategy for the DM is to neglect dynamic considerations and allocate samples myopically. How inefficient is this strategy relative to the optimal information acquisition strategy? We show that if the budget of samples is sufficiently large then there is no inefficiency: myopic information acquisition is exactly optimal.

Keywords: Information Acquisition; Correlation; Endogenous Attention; Myopic Choice; Robustness; Value of Information (search for similar items in EconPapers)
JEL-codes: C44 D81 D83 (search for similar items in EconPapers)
Date: 2019-04
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Citations: View citations in EconPapers (2)

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